Alessio Volpicella
Biographic Data
| ID | 8920935 |
|---|---|
| NAME | Alessio Volpicella |
| GIVEN NAMES | Alessio |
| FAMILY NAME | Volpicella |
| SIGNATURE | VOLPICELLA A |
| AFFILIATIONS | University of Surrey |
| ORCID | 0000-0002-8108-2655 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 3 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Validating DSGE Models Through SVARs Under Imperfect Information
We study the ability of SVARs to match impulse responses of a well‐established DSGE model where the information of agents can be imperfect. We derive conditions for the solution of a linearized NK‐DSGE model to be invertible given this information set. In the absence of invertibility, an approximate measure is constructed. An SVAR is estimated using artificial data generated from the model and three forms of identification restrictions: zero, sig…
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions
We generalize the Max Share approach to allow for simultaneous identification of a multiplicity of shocks in a Structural Vector Autoregression. Our machinery therefore overcomes the well-known drawbacks that individually identified shocks (i) tend to be correlated to each other or (ii) can be separated under orthogonalizations with weak economic ground. We show that identification corresponds to solving a non-trivial optimization problem. We pro…
SVARs Identification Through Bounds on the Forecast Error Variance
This article identifies structural vector autoregressions (SVARs) through bound restrictions on the forecast error variance decomposition (FEVD). First, the article shows FEVD bounds correspond to quadratic inequality restrictions on the columns of the rotation matrix transforming reduced-form residuals into structural shocks. Second, the article establishes theoretical conditions such that bounds on the FEVD lead to a reduction in the width of t…
No prominent works on this page.
SVARs Identification Through Bounds on the Forecast Error Variance
This article identifies structural vector autoregressions (SVARs) through bound restrictions on the forecast error variance decomposition (FEVD). First, the article shows FEVD bounds correspond to quadratic inequality restrictions on the columns of the rotation matrix transforming reduced-form residuals into structural shocks. Second, the article establishes theoretical conditions such that bounds on the FEVD lead to a reduction in the width of t…
Validating DSGE Models Through SVARs Under Imperfect Information
We study the ability of SVARs to match impulse responses of a well‐established DSGE model where the information of agents can be imperfect. We derive conditions for the solution of a linearized NK‐DSGE model to be invertible given this information set. In the absence of invertibility, an approximate measure is constructed. An SVAR is estimated using artificial data generated from the model and three forms of identification restrictions: zero, sig…
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions
We generalize the Max Share approach to allow for simultaneous identification of a multiplicity of shocks in a Structural Vector Autoregression. Our machinery therefore overcomes the well-known drawbacks that individually identified shocks (i) tend to be correlated to each other or (ii) can be separated under orthogonalizations with weak economic ground. We show that identification corresponds to solving a non-trivial optimization problem. We pro…
Computer Science (3 works) · Econometrics (3 works) · Economics (3 works) · Monetary Policy and Economic Impact (3 works) · Bayesian probability (2 works) · Dynamic stochastic general equilibrium (2 works) · Inference (2 works) · Market Dynamics and Volatility (2 works) · Mathematics (2 works) · Monetary policy (2 works)